• 1552 Citations
  • 19 h-Index
1968 …2019
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Research Output 1968 2019

  • 1552 Citations
  • 19 h-Index
  • 51 Article
  • 2 Chapter
  • 1 Conference contribution
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Article
2019
Error analysis
optimization
Constrained optimization
physical exercise
replicas
Open Access
Expected Shortfall
Portfolio Optimization
Estimation Error
Regularization
Trade-offs
2017
6 Citations (Scopus)
Analytic Solution
optimization
Optimization
estimators
Optimization Problem
2 Citations (Scopus)

Portfolio optimization under Expected Shortfall: contour maps of estimation error

Caccioli, F., Kondor, I. & Papp, G., nov. 18 2017, (Accepted/In press) In : Quantitative Finance. p. 1-19 19 p.

Research output: Article

Portfolio optimization
Expected shortfall
Estimation error
Sample size
Confidence
2016
10 Citations (Scopus)

Liquidity risk and instabilities in portfolio optimization

Caccioli, F., Kondor, I., Marsili, M. & Still, S., aug. 1 2016, In : International Journal of Theoretical and Applied Finance. 19, 5, 1650035.

Research output: Article

Liquidity risk
Portfolio optimization
Coherent measures of risk
Risk measures
Expected shortfall
2014
3 Citations (Scopus)

Strong random correlations in networks of heterogeneous agents

Kondor, I., Csabai, I., Papp, G., Mones, E., Czimbalmos, G. & Sándor, M. C., okt. 1 2014, In : Journal of Economic Interaction and Coordination. 9, 2, p. 203-232 30 p.

Research output: Article

Heterogeneous agents
Node
Numerical simulation
Graph
Systemic risk
4 Citations (Scopus)

The interrupted power law and the size of shadow banking

Fiaschi, D., Kondor, I., Marsili, M. & Volpati, V., ápr. 11 2014, In : PLoS One. 9, 4, e94237.

Research output: Article

banking
Growth
assets
tail
growth models
2013
14 Citations (Scopus)

Optimal liquidation strategies regularize portfolio selection

Caccioli, F., Still, S., Marsili, M. & Kondor, I., júl. 2013, In : European Journal of Finance. 19, 6, p. 554-571 18 p.

Research output: Article

Market impact
Portfolio selection
Optimal liquidation
Expected shortfall
Optimization problem
2011
4 Citations (Scopus)

Large random correlations in individual mean field spin glass samples

Billoire, A., Kondor, I., Lukic, J. & Marinari, E., febr. 2011, In : Journal of Statistical Mechanics: Theory and Experiment. 2011, 2, P02009.

Research output: Article

Spin Glass
Mean Field
spin glass
Phase Space
Long-range Correlations
2010
5 Citations (Scopus)

Instability of portfolio optimization under coherent risk measures

Kondor, I. & Varga-Haszonits, I., jún. 2010, In : Advances in Complex Systems. 13, 3, p. 425-437 13 p.

Research output: Article

10 Citations (Scopus)

Regularizing portfolio optimization

Still, S. & Kondor, I., júl. 30 2010, In : New Journal of Physics. 12, 075034.

Research output: Article

optimization
learning theory
norms
budgets
regression analysis
2008
3 Citations (Scopus)

Divergent estimation error in portfolio optimization and in linear regression

Kondor, I. & Varga-Haszonits, I., aug. 2008, In : European Physical Journal B. 64, 3-4, p. 601-605 5 p.

Research output: Article

Linear regression
Error analysis
regression analysis
operations research
medical science
7 Citations (Scopus)

The instability of downside risk measures

Varga-Haszonits, I. & Kondor, I., 2008, In : Journal of Statistical Mechanics: Theory and Experiment. 2008, 12, P12007.

Research output: Article

Expected Shortfall
Risk Measures
Replica Method
Portfolio Optimization
optimization
2007
10 Citations (Scopus)
GARCH Model
Portfolio Selection
Stock Prices
matrix theory
noise measurement
56 Citations (Scopus)

Noise sensitivity of portfolio selection under various risk measures

Kondor, I., Pafka, S. & Nagy, G., máj. 2007, In : Journal of Banking and Finance. 31, 5, p. 1545-1573 29 p.

Research output: Article

Portfolio selection
Risk measures
Phase transition
Deviation
Critical value
19 Citations (Scopus)

On the feasibility of portfolio optimization under expected shortfall

Ciliberti, S., Kondor, I. & Mézard, M., aug. 2007, In : Quantitative Finance. 7, 4, p. 389-396 8 p.

Research output: Article

Portfolio optimization
Expected shortfall
Linear programming
Coherent risk measures
Assets
2006
466 Citations (Scopus)

Modeling bursts and heavy tails in human dynamics

Vázquez, A., Oliveira, J. G., Dezsö, Z., Goh, K. I., Kondor, I. & Barabási, A. L., 2006, In : Physical Review E - Statistical, Nonlinear, and Soft Matter Physics. 73, 3, 036127.

Research output: Article

Heavy Tails
Burst
bursts
Modeling
human behavior
2004
46 Citations (Scopus)

Estimated correlation matrices and portfolio optimization

Pafka, S. & Kondor, I., nov. 15 2004, In : Physica A: Statistical Mechanics and its Applications. 343, 1-4, p. 623-634 12 p.

Research output: Article

Portfolio Optimization
Correlation Matrix
optimization
Portfolio Selection
Random Matrix Theory
2003
63 Citations (Scopus)
Portfolio Optimization
Covariance matrix
optimization
Finance
finance
2002
40 Citations (Scopus)

Noisy covariance matrices and portfolio optimization

Pafka, S. & Kondor, I., máj. 2 2002, In : European Physical Journal B. 27, 2, p. 277-280 4 p.

Research output: Article

Covariance matrix
optimization
eigenvalues
risk management
Risk management
2001
22 Citations (Scopus)
Value at Risk
volatility
Financial Markets
Volatility
methodology
2000
5 Citations (Scopus)

Reparametrization invariance: A gauge-like symmetry of ultrametrically organised states

Temesvári, T., Kondor, I. & De Dominicis, C., dec. 1 2000, In : European Physical Journal B. 18, 3, p. 493-500 8 p.

Research output: Article

permutations
Invariance
replicas
Gages
invariance
1999
18 Citations (Scopus)

Portfolios with nonlinear constraints and spin glasses

Gábor, A. & Kondor, I., dec. 1 1999, In : Physica A: Statistical Mechanics and its Applications. 274, 1, p. 222-228 7 p.

Research output: Article

Nonlinear Constraints
Spin Glass
spin glass
Spin Glasses (theory)
Convex Constraints
15 Citations (Scopus)

Scaling and infrared divergences in the replica field theory of the Ising spin glass

Temesvári, T., De Dominicis, C. & Kondor, I., okt. 2 1999, In : European Physical Journal B. 11, 4, p. 629-634 6 p.

Research output: Article

Spin glass
replicas
spin glass
divergence
Infrared radiation
31 Citations (Scopus)
volatility
statistical analysis
autocorrelation
Statistical Analysis
sampling
1994
32 Citations (Scopus)

Block diagonalizing ultrametric matrices

Temesvari, T., De Dominicis, C. & Kondor, I., 1994, In : Journal of Physics A: General Physics. 27, 23, p. 7569-7595 27 p., 008.

Research output: Article

Phase equilibria
matrices
Replica
replicas
Symmetry
11 Citations (Scopus)

Dyson's equations for the (Ising) spin-glass

De Dominicis, C., Kondor, I. & Temesvari, T., szept. 1994, In : Journal de physique. III. 4, 9, p. 1287-1308 22 p.

Research output: Article

Spin glass
spin glass
Magnetic fields
Kinetics
sectors
1993
32 Citations (Scopus)
Mean field theory
Spin glass
Spin Glass
spin glass
Overlap
1992
4 Citations (Scopus)
Spin Glass
Ising
Order Parameter
spin glass
Excitation
1991
18 Citations (Scopus)
Spin glass
Critical Dimension
Spin Glass
Ising
Order Parameter
1990
5 Citations (Scopus)

Contradictions in spin glass field theory and a possible way out

De Dominicis, C. & Kondor, I., febr. 1 1990, In : Physica A: Statistical Mechanics and its Applications. 163, 1, p. 265-270 6 p.

Research output: Article

Spin Glass
spin glass
Field Theory
Divergence
divergence
1989
59 Citations (Scopus)

On chaos in spin glasses

Kondor, I., 1989, In : Journal of Physics A: General Physics. 22, 5, 005.

Research output: Article

Spin glass
Spin Glass
Chaos theory
spin glass
chaos
8 Citations (Scopus)
Spin glass
Spin Glass
spin glass
Field Theory
Overlap
1988
11 Citations (Scopus)

Long-wavelength fluctuations in the Ising spin glass

Temesvari, T., Kondor, I. & De Dominicis, C., 1988, In : Journal of Physics A: Mathematical and General. 21, 23, 008.

Research output: Article

Spin glass
Spin Glass
Ising
spin glass
valleys
1987
4 Citations (Scopus)

Zero modes and reparametrization invariance in the Ising spin glass

Kondor, I. & Németh, R., okt. 1987, In : Acta Physica Hungarica. 62, 2-4, p. 219-224 6 p.

Research output: Article

spin glass
invariance
1986
17 Citations (Scopus)

Ultrametricity and zero modes in the short-range ising spin glass

Kondor, I. & De Dominicis, C., okt. 15 1986, In : EPL. 2, 8, p. 617-624 8 p.

Research output: Article

spin glass
mass spectra
propagation
1984
36 Citations (Scopus)

ON SPIN GLASS FLUCTUATIONS.

de Dominicis, C. & Kondor, I., márc. 1 1984, In : Journal de physique. Lettres. 45, 5, p. 205-210 6 p.

Research output: Article

Spin glass
spin glass
approximation
replicas
propagation
1983
4 Citations (Scopus)
Spin glass
Spin Glass
spin glass
Stability Analysis
Model
103 Citations (Scopus)

Eigenvalues of the stability matrix for Parisi solution of the long-range spin-glass

De Dominicis, C. & Kondor, I., 1983, In : Physical Review B. 27, 1, p. 606-608 3 p.

Research output: Article

Spin glass
Stiffness matrix
spin glass
eigenvalues
matrices
49 Citations (Scopus)
Spin glass
Analytic Continuation
Spin Glass
Replica
replicas
14 Citations (Scopus)
Spin glass
Spin Glass
Mean Field
spin glass
Magnetic Field
1981
Potts model
Solid state physics
solid state physics
Physics
physics
8 Citations (Scopus)
Potts model
Vacancies
Phase boundaries
Flow structure
Crystal lattices
1980
6 Citations (Scopus)

Calculation of critical exponents to O(1n2)

Kondor, I. & Temesvri, T., 1980, In : Physical Review B. 21, 1, p. 260-279 20 p.

Research output: Article

insertion
exponents
Scaling laws
apexes
expansion
1 Citation (Scopus)
Triangular Lattice
Color
color
thresholds
sublattices
22 Citations (Scopus)
Potts model
Phase boundaries
triangles
Stars
stars
12 Citations (Scopus)

Resummation of the 1n expansion through a self-consistent approach

Kondor, I., Temesvri, T. & Herényi, L., 1980, In : Physical Review B. 22, 3, p. 1451-1458 8 p.

Research output: Article

exponents
expansion
screening
Screening
estimates
1974
22 Citations (Scopus)
exponents
expansion
120 Citations (Scopus)

On the dynamics of continuous phase transitions

Szépfalusy, P. & Kondor, I., 1974, In : Annals of Physics. 82, 1, p. 1-53 53 p.

Research output: Article

transition points
poles
condensation
scaling
perturbation
1970
6 Citations (Scopus)
transition points
gases
temperature